Local M-estimation for jump-diffusion processes

DOI10.1016/J.SPL.2012.03.024zbMATH Open1251.62035OpenAlexW2017061934MaRDI QIDQ449381FDOQ449381

Authors: Yunyan Wang, Mingtian Tang, Lixin Zhang 

Publication date: 30 August 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.03.024

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• Estimation and prediction under local volatility jump-diffusion model
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zbMATH Keywords

stochastic differential equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

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Cited In (10)

• Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions
• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
• Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
• Local Linear Estimation of Recurrent Jump—Diffusion Models
• Local Linear Approximations of Jump Diffusion Processes
• On the functional estimation of jump-diffusion models.
• Local linear estimation of jump-diffusion models by using asymmetric kernels
• Improved local approximation for multidimensional diffusions: The G-rates

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